摘要
首先给出一阶移动平均型式的自相关及其扰动项的均值、方差、协方差,并给出扰动项的协方差矩阵,Ω证明Ω是正定矩阵;然后由此推得回归模型Y=Xβ+μ中β的LS估计值■,给出了■的均值、方差,最后给出了σ2的无偏估计量■2及在正态分布的场合下■与■2的分布。
In this paper, the author first defines self-correlation of first order moving averge model and computes the mean and variance and covariance of its disturbance term, also gives the covariance matrix Ω of disturbance term and proves it is a postive definite matrix. The author then deduces the LS estimation ^↑β on β of linear regression model Y=Xβ ＋μ and computes the mean and variance of ^↑β. Finally, the author computes the unbiased esimation ^↑σ^2 of σ^2 and the distribution of ^↑β and ^↑σ^2 on the occasion of normal distribution.
出处
《莆田学院学报》
2006年第5期20-21,25,共3页
Journal of putian University
关键词
一阶移动平均型式
扰动项
正定矩阵
自相关
ffirst order moving average model
disturbance term
positive definite matrix
self-correlation
